Risk premiums and macroeconomic dynamics in a heterogeneous agent model

DOI10.1016/J.JEDC.2010.06.025MaRDI QIDQ602867zbMATH OpenOpenAlexFDO

Authors Ferre De Graeve, Maarten Dossche, Marina Emiris, Raf Wouters, Henri R. Sneessens

Publication date 5 November 2010

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10419/144363

zbMATH Keywords

bond premiumDSGEequity premiumlimited participation

Mathematics Subject Classification ID

Dynamic stochastic general equilibrium theory (91B51) Economic dynamics (91B55)

Recommendations

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Cites work

• A multiplier approach to understanding the macro implications of household finance
• A parsimonious macroeconomic model for asset pricing
• Labour Relations and Asset Returns
• On the cyclical allocation of risk
• Risk premiums and macroeconomic dynamics in a heterogeneous agent model

Cited in

(16)

• Monte Carlo simulation of macroeconomic risk with a continuum of agents: the symmetric case
• Endogenous risk in a DSGE model with capital-constrained financial intermediaries
• Asymmetries in risk premia, macroeconomic uncertainty and business cycles
• Why do risk premia vary over time? a theoretical investigation under habit formation
• A parsimonious macroeconomic model for asset pricing
• Monte Carlo simulation of macroeconomic risk with a continuum of agents: the symmetric case
• Labour Relations and Asset Returns
• Solving discrete time heterogeneous agent models with aggregate risk and many idiosyncratic states by perturbation
• Risk premium shocks can create inefficient recessions
• A Risk-Centric Model of Demand Recessions and Speculation*
• scientific article; zbMATH DE number 5165625 (Why is no real title available?)
• Global dynamics in a model with search and matching in labor and capital markets
• Risk premiums and macroeconomic dynamics in a heterogeneous agent model
• Imperfect Risk Sharing and the Business Cycle
• Risk premia in general equilibrium
• The equilibrium allocation of diffusive and jump risks with heterogeneous agents

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