The volatility of asset prices in a stochastic production economy

DOI10.1016/0165-1765(92)90251-SMaRDI QIDQ2366936zbMATH OpenOpenAlexFDO

Authors Sangmoon Hahm

Publication date 11 October 1993

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0165-1765(92)90251-s

zbMATH Keywords

excess volatility

Mathematics Subject Classification ID

Economic growth models (91B62) Stochastic systems in control theory (general) (93E03)

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Cites work

• Asset Prices in an Exchange Economy
• Comparative Dynamics and Risk Premia in an Overlapping Generations Model
• Comparative Dynamics of an Equilibrium Intertemporal Asset Pricing Model
• The Present-Value Relation: Tests Based on Implied Variance Bounds

Cited in

(14)

• Fundamentals and bubbles in asset prices: Evidence from U.S. and Japanese asset prices
• Asset price volatility in a nonconvex general equilibrium model
• Creative destruction, investment volatility, and the average age of capital
• Intrinsic bubbles and asset price volatility
• Why good economic news depressed stock and bond prices in 1996
• Stochastic volatility implies fourth-degree risk dominance: applications to asset pricing
• Asset pricing with expectation shocks
• Asset prices and the distribution of wealth
• Asset price volatility and price extrema
• FUNDING EXTERNALITIES, ASSET PRICES AND INVESTORS' ‘SEARCH FOR YIELD’
• Endogenous indeterminacy and volatility of asset prices under ambiguity
• Excess volatility and stochastic approach of interest rates in stock market
• Volatility and stock prices: Implications from a production model of asset pricing
• Efficient `myopic' asset pricing in general equilibrium: a potential pitfall in excess volatility tests

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