Asset Prices in Affine Real Business Cycle Models
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Jesus Fernandez-Villaverde & Pablo Guerron-Quintana & Juan F. Rubio-Ramirez & Martin Uribe, 2011.
"Risk Matters: The Real Effects of Volatility Shocks,"
American Economic Review, American Economic Association, vol. 101(6), pages 2530-2561, October.
- Pablo A. Guerron-Quintana & Martin Uribe & Juan Rubio-Ramirez & Jesús Fernández-Villaverde, 2009. "Risk Matters: The Real E¤ects of Volatility Shocks," 2009 Meeting Papers 237, Society for Economic Dynamics.
- Jesús Fernández-Villaverde & Pablo A. Guerrón-Quintana & Juan Rubio-Ramírez & Martín Uribe, 2009. "Risk Matters: The Real Effects of Volatility Shocks," NBER Working Papers 14875, National Bureau of Economic Research, Inc.
- Uribe, MartÃn & Rubio-RamÃrez, Juan Francisco & Fernández-Villaverde, Jesús & Guerron-Quintana, Pablo A., 2009. "Risk Matters: The Real Effects of Volatility Shocks," CEPR Discussion Papers 7264, C.E.P.R. Discussion Papers.
- Pablo Guerron & Martin Uribe & Juan Rubio-Ramirez & Jesus Fernandez-Villaverde, 2010. "Risk Matters: The Real Effects of Volatility Shocks," 2010 Meeting Papers 281, Society for Economic Dynamics.
- Jesus Fernandez-Villaverde & Pablo Guerron-Quintana & Juan F. Rubio-RamÃrez & Martin Uribe, 2009. "Risk Matters: The Real Effects of Volatility Shocks," PIER Working Paper Archive 09-013, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- Ralph S.J. Koijen & Jules H. van Binsbergen & Juan F. Rubio-Ramírez & Jesus Fernandez-Villaverde, 2008. "Likelihood Estimation of DSGE Models with Epstein-Zin Preferences," 2008 Meeting Papers 1099, Society for Economic Dynamics.
- Schmitt-Grohe, Stephanie & Uribe, Martin, 2004.
"Solving dynamic general equilibrium models using a second-order approximation to the policy function,"
Journal of Economic Dynamics and Control, Elsevier, vol. 28(4), pages 755-775, January.
- Stephanie Schmitt-Grohe & Martin Uribe, 2001. "Solving Dynamic General Equilibrium Models Using a Second-Order Approximation to the Policy Function," Departmental Working Papers 200106, Rutgers University, Department of Economics.
- Uribe, MartÃn & Schmitt-Grohé, Stephanie, 2001. "Solving Dynamic General Equilibrium Models Using a Second-Order Approximation to the Policy Function," CEPR Discussion Papers 2963, C.E.P.R. Discussion Papers.
- Stephanie Schmitt-Grohe & Martin Uribe, 2002. "Solving Dynamic General Equilibrium Models Using a Second-Order Approximation to the Policy Function," NBER Technical Working Papers 0282, National Bureau of Economic Research, Inc.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Segal, Gill & Shaliastovich, Ivan & Yaron, Amir, 2015.
"Good and bad uncertainty: Macroeconomic and financial market implications,"
Journal of Financial Economics, Elsevier, vol. 117(2), pages 369-397.
- Gill Segal & Ivan Shaliastovich & Amir Yaron, 2014. "Good and Bad Uncertainty: Macroeconomic and Financial Market Implications," 2014 Meeting Papers 488, Society for Economic Dynamics.
- Borovička, Jaroslav & Hansen, Lars Peter, 2014.
"Examining macroeconomic models through the lens of asset pricing,"
Journal of Econometrics, Elsevier, vol. 183(1), pages 67-90.
- Jaroslav Borovicka & Lars Peter Hansen, 2012. "Examining macroeconomic models through the lens of asset pricing," Working Paper Series WP-2012-01, Federal Reserve Bank of Chicago.
- Angelo M. Fasolo, 2011. "The Accuracy of Perturbation Methods to Solve Small Open Economy Models," Working Papers Series 262, Central Bank of Brazil, Research Department.
- Bingbing Dong, 2014. "Asset Pricing and Monetary Policy," 2014 Meeting Papers 881, Society for Economic Dynamics.
- Maral Shamloo & Aytek Malkhozov, 2010. "Asset Prices in a News Driven Real Business Cycle Model," 2010 Meeting Papers 546, Society for Economic Dynamics.
- Borovička, Jaroslav & Hansen, Lars Peter, 2014.
"Examining macroeconomic models through the lens of asset pricing,"
Journal of Econometrics,
Elsevier, vol. 183(1), pages 67-90.
- Jaroslav BoroviÄ ka & Lars Peter Hansen, 2011. "Examining Macroeconomic Models Through the Lens of Asset Pricing," Working Papers 2011-012, Becker Friedman Institute for Research In Economics.
- Jaroslav Borovicka & Lars Peter Hansen, 2012. "Examining macroeconomic models through the lens of asset pricing," Working Paper Series WP-2012-01, Federal Reserve Bank of Chicago.
- Borovicka, J. & Hansen, L.P., 2016.
"Term Structure of Uncertainty in the Macroeconomy,"
Handbook of Macroeconomics, in: J. B. Taylor & Harald Uhlig (ed.), Handbook of Macroeconomics, edition 1, volume 2, chapter 0, pages 1641-1696,
Elsevier.
- Jaroslav Borovička & Lars Peter Hansen, 2016. "Term Structure of Uncertainty in the Macroeconomy," NBER Working Papers 22364, National Bureau of Economic Research, Inc.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Andrew Foerster & Juan F. Rubio‐Ramírez & Daniel F. Waggoner & Tao Zha, 2016.
"Perturbation methods for Markov‐switching dynamic stochastic general equilibrium models,"
Quantitative Economics, Econometric Society, vol. 7(2), pages 637-669, July.
- Tao Zha & Juan F. Rubio-Ramirez & Daniel F. Waggoner & Andrew T. Foerster, 2010. "Perturbation Methods for Markov-Switching Models," 2010 Meeting Papers 239, Society for Economic Dynamics.
- Zha, Tao & Rubio-RamÃrez, Juan Francisco & , & Foerster, Andrew, 2013. "Perturbation Methods for Markov-Switching DSGE Models," CEPR Discussion Papers 9464, C.E.P.R. Discussion Papers.
- Andrew Foerster & Juan Rubio-Ramirez & Dan Waggoner & Ta Zha, 2013. "Perturbation Methods for Markov-Switching DSGE Models," Working Papers 2013-22, FEDEA.
- Andrew T. Foerster & Juan F. Rubio-Ramirez & Daniel F. Waggoner & Tao Zha, 2013. "Perturbation methods for Markov-switching DSGE model," Research Working Paper RWP 13-01, Federal Reserve Bank of Kansas City.
- Andrew Foerster & Juan F. Rubio-Ramirez & Daniel F. Waggoner & Tao Zha, 2013. "Perturbation methods for Markov-switching DSGE models," FRB Atlanta Working Paper 2013-01, Federal Reserve Bank of Atlanta.
- Andrew Foerster & Juan Rubio-Ramírez & Daniel F. Waggoner & Tao Zha, 2014. "Perturbation Methods for Markov-Switching DSGE Models," NBER Working Papers 20390, National Bureau of Economic Research, Inc.
- Andrew T. Foerster & Juan F. Rubio-Ramirez & Daniel F. Waggoner & Tao Zha, 2014. "Perturbation methods for Markov-switching DSGE models," FRB Atlanta Working Paper 2014-16, Federal Reserve Bank of Atlanta.
- Lorenzo Bretscher & Alex Hsu & Andrea Tamoni, 2019. "Response of the Macroeconomy to Uncertainty Shocks:the Risk Premium Channel," 2019 Meeting Papers 1567, Society for Economic Dynamics.
- Grimme, Christian & Siemsen, Thomas, 2014. "Are You a Lehman, Brother? Interbank Uncertainty in a DSGE Model," VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100498, Verein für Socialpolitik / German Economic Association.
- Darracq Pariès, Matthieu & Körner, Jenny & Papadopoulou, Niki, 2019.
"Empowering central bank asset purchases: The role of financial policies,"
Working Paper Series
2237, European Central Bank.
- Matthieu Darracq Paries & Jenny Korner & Niki Papadopoulou, 2019. "Empowering Central Bank Asset Purchases: The Role of Financial Policies," Working Papers 2019-1, Central Bank of Cyprus.
- Andreasen, Martin M. & Caggiano, Giovanni & Castelnuovo, Efrem & Pellegrino, Giovanni, 2024. "Does risk matter more in recessions than in expansions? Implications for monetary policy," Journal of Monetary Economics, Elsevier, vol. 143(C).
- Fernández-Villaverde, Jesús & Guerrón-Quintana, Pablo & Rubio-Ramírez, Juan F., 2015.
"Estimating dynamic equilibrium models with stochastic volatility,"
Journal of Econometrics, Elsevier, vol. 185(1), pages 216-229.
- Jesus Fernandez-Villaverde & Pablo A. Guerrón-Quintana & Juan Rubio-Ramírez, 2012. "Estimating Dynamic Equilibrium Models with Stochastic Volatility," NBER Working Papers 18399, National Bureau of Economic Research, Inc.
- Jesús Fernández-Villaverde & Pablo Guerrón-Quintana & Juan F. Rubio-Ramírez, 2014. "Estimating Dynamic Equilibrium Models with Stochastic Volatility," Working Papers 2014-11, FEDEA.
- Jesus Fernandez-Villaverde & Pablo Guerron-Quintana & Juan F. Rubio-Ramirez, 2014. "Estimating Dynamic Equilibrium Models with Stochastic Volatility," Working Papers 1424, BBVA Bank, Economic Research Department.
- Jesús Fernández-Villaverde & Pablo Guerrón-Quintana & Juan Rubio-Ramirez, 2013. "Estimating Dynamic Equilibrium Models with Stochastic Volatility," Working Papers 2013-23, FEDEA.
- Rubio-RamÃrez, Juan Francisco & Fernández-Villaverde, Jesús & Guerron-Quintana, Pablo A., 2012. "Estimating Dynamic Equilibrium Models with Stochastic Volatility," CEPR Discussion Papers 9130, C.E.P.R. Discussion Papers.
- Jesus Fernandez-Villaverde & Pablo Guerrón-Quintana & Juan F. Rubio-RamÃrez, 2013. "Estimating Dynamic Equilibrium Models with Stochastic Volatility," PIER Working Paper Archive 13-036, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- Jesús Fernández-Villaverde & Pablo Guerrón-Quintana & Juan F. Rubio-Ramirez, 2013. "Estimating dynamic equilibrium models with stochastic volatility," Working Papers 13-19, Federal Reserve Bank of Philadelphia.
- repec:ehu:dfaeii:6381 is not listed on IDEAS
- Martin M. Andreasen & Anders F. Kronborg, 2022. "The extended perturbation method: With applications to the New Keynesian model and the zero lower bound," Quantitative Economics, Econometric Society, vol. 13(3), pages 1171-1202, July.
- Sangyup Choi & Myungkyu Shim, 2018. "Labor Market Dynamics in Developing Economies: the Role of Subsistence Consumption," Working papers 2018rwp-127, Yonsei University, Yonsei Economics Research Institute.
- Jesús Fernández-Villaverde, 2010.
"The econometrics of DSGE models,"
SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, vol. 1(1), pages 3-49, March.
- Jesús Fernández-Villaverde, 2009. "The Econometrics of DSGE Models," PIER Working Paper Archive 09-008, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- Fernández-Villaverde, Jesús, 2009. "The Econometrics of DSGE Models," CEPR Discussion Papers 7157, C.E.P.R. Discussion Papers.
- Jesús Fernández-Villaverde, 2009. "The Econometrics of DSGE Models," NBER Working Papers 14677, National Bureau of Economic Research, Inc.
- Rubio-RamÃrez, Juan Francisco & Fernández-Villaverde, Jesús & Guerron-Quintana, Pablo A., 2010.
"Fortune or Virtue: Time-Variant Volatilities Versus Parameter Drifting in U.S. Data,"
CEPR Discussion Papers
7813, C.E.P.R. Discussion Papers.
- Juan Rubio-Ramirez & Jesus Fernandez-Villaverde & Pablo A. Guerron-Quintana, 2010. "Fortune or Virtue: Time Variant Volatilities versus Parameter Drifting in U.S. Data," 2010 Meeting Papers 270, Society for Economic Dynamics.
- Jesús Fernández-Villaverde & Pablo Guerrón-Quintana & Juan F. Rubio-Ramírez, 2010. "Fortune or Virtue: Time-Variant Volatilities Versus Parameter Drifting in U.S. Data," NBER Working Papers 15928, National Bureau of Economic Research, Inc.
- Jesús Fernández-Villaverde & Pablo Guerrón-Quintana & Juan F. Rubio-RamÃrez, 2010. "Fortune or Virtue: Time-Variant Volatilities Versus Parameter Drifting in U.S. Data," PIER Working Paper Archive 10-015, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- Gourio, François, 2012. "Macroeconomic implications of time-varying risk premia," Working Paper Series 1463, European Central Bank.
- Benigno, Gianluca & Benigno, Pierpaolo & Nisticò, Salvatore, 2013.
"Second-order approximation of dynamic models with time-varying risk,"
Journal of Economic Dynamics and Control, Elsevier, vol. 37(7), pages 1231-1247.
- Gianluca Benigno & Pierpaolo Benigno & Salvatore Nisticò, 2010. "Second-Order Approximation of Dynamic Models with Time-Varying Risk," NBER Working Papers 16633, National Bureau of Economic Research, Inc.
- Benigno, Gianluca & Benigno, Pierpaolo & Nisticò, Salvatore, 2011. "Second-order approximation of dynamic models with time-varying risk," LSE Research Online Documents on Economics 119071, London School of Economics and Political Science, LSE Library.
- Benigno, Pierpaolo & Benigno, Gianluca & Nistico, Salvatore, 2011. "Second Order Approximation of Dynamic Models with Time-Varying Risk," CEPR Discussion Papers 8177, C.E.P.R. Discussion Papers.
- Gianluca Benigno & Pierpaolo Benigno & Salvatore Nistico, 2011. "Second-Order Approximation of Dynamic Models with Time-Varying Risk," FMG Discussion Papers dp677, Financial Markets Group.
- Gianluca Benigno & Pierpaolo Benigno & Salvatore Nisticò, 2010. "Second-Order Approximation of Dynamic Models with Time-Varying Risk," CEP Discussion Papers dp1033, Centre for Economic Performance, LSE.
- Benigno, Gianluca & Benigno, Pierpaolo & Nisticò, Salvatore, 2010. "Second-order approximation of dynamic models with time-varying risk," LSE Research Online Documents on Economics 121707, London School of Economics and Political Science, LSE Library.
- Gianluca Benigno & Pierpaolo Benigno & Salvatore Nisticò, 2010. "Second-Order Approximation of Dynamic Models with Time-Varying Risk," EIEF Working Papers Series 1021, Einaudi Institute for Economics and Finance (EIEF), revised Dec 2010.
- Lorenzo Bretscher & Alex Hsu & Andrea Tamoni, 2017. "Level and Volatility Shocks to Fiscal Policy: Term Structure Implications," 2017 Meeting Papers 258, Society for Economic Dynamics.
- Levintal, Oren, 2017. "Fifth-order perturbation solution to DSGE models," Journal of Economic Dynamics and Control, Elsevier, vol. 80(C), pages 1-16.
- Sanjay Chugh, 2016.
"Firm Risk and Leverage-Based Business Cycles,"
Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 20, pages 111-131, April.
- Sanjay K. Chugh, 2013. "Firm Risk and Leverage Based Business Cycles," Boston College Working Papers in Economics 844, Boston College Department of Economics.
- Apostolis Philippopoulos & Petros Varthalitis & Vanghelis Vassilatos, 2017.
"Fiscal Consolidation in an Open Economy with Sovereign Premia and without Monetary Policy Independence,"
International Journal of Central Banking, International Journal of Central Banking, vol. 13(4), pages 259-306, December.
- Philippopoulos, Apostolis & Varthalitis, Petros & Vassilatos, Vanghelis, 2016. "Fiscal consolidation in an open economy with sovereign premia and without monetary policy independence," MPRA Paper 81327, University Library of Munich, Germany.
- Kranz Tobias, 2017. "Calibrating the Equilibrium Condition of a New Keynesian Model with Uncertainty," Review of Economics, De Gruyter, vol. 68(2), pages 117-151, August.
- Oliver de Groot & Ceyhun Bora Durdu & Enrique G. Mendoza, 2019.
"Approximately Right?: Global v. Local Methods for Open-Economy Models with Incomplete Markets,"
NBER Working Papers
26426, National Bureau of Economic Research, Inc.
- Oliver de Groot & Bora Durdu & Enrique G. Mendoza, 2020. "Approximately Right?: Global v. Local Methods for Open-Economy Models with Incomplete Markets," Finance and Economics Discussion Series 2020-006, Board of Governors of the Federal Reserve System (U.S.).
- Giovanni Pellegrino & Efrem Castelnuovo & Giovanni Caggiano, 2023.
"Uncertainty And Monetary Policy During The Great Recession,"
International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 64(2), pages 577-606, May.
- Giovanni Pellegrino & Efrem Castelnuovo & Giovanni Caggiano, 2021. "Uncertainty and Monetary Policy during the Great Recession," CESifo Working Paper Series 8985, CESifo.
- Giovanni Pellegrino & Efrem Castelnuovo & Giovanni Caggiano, 2021. "Uncertainty And Monetary Policy During The Great Recession," "Marco Fanno" Working Papers 0270, Dipartimento di Scienze Economiche "Marco Fanno".
- Giovanni Pellegrino & Efrem Castelnuovo & Giovanni Caggiano, 2021. "Uncertainty and Monetary Policy during the Great Recession," Economics Working Papers 2021-05, Department of Economics and Business Economics, Aarhus University.
- Gabriel Cuadra & Victoria Nuguer, 2018.
"Risky Banks and Macro-Prudential Policy for Emerging Economies,"
Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 30, pages 125-144, October.
- Nuguer Victoria & Cuadra Gabriel, 2016. "Risky Banks and Macroprudential Policy for Emerging Economies," Working Papers 2016-06, Banco de México.
More about this item
Keywords
WP; mover accent; steady state;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:imf:imfwpa:2010/249. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Akshay Modi (email available below). General contact details of provider: https://edirc.repec.org/data/imfffus.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.