Essays on Financial Markets and the Macroeconomy

Essays on Financial Markets and the Macroeconomy

Asset pricing implications of a DSGE model with recursive preferences and nominal rigidities. I study jointly macroeconomic dynamics and asset prices implied by a production economy featuring nominal price rigidities and Epstein-Zin (1989) preferences. Using a reasonable calibration, the macroeconom...

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Bibliographic Details
Main Author: Fausch, Jürg
Format: Doctoral Thesis
Language:English
Published: Stockholms universitet, Nationalekonomiska institutionen 2017
Subjects:
Asset pricing
business cycles
DSGE model
macroeconomic risk
monetary policy shocks
recursive preferences
stock market
VAR model
variance decomposition
Economics
Nationalekonomi
Online Access:http://urn.kb.se/resolve?urn=urn:nbn:se:su:diva-140151
http://nbn-resolving.de/urn:isbn:978-91-7649-740-1
http://nbn-resolving.de/urn:isbn:978-91-7649-741-8

Internet

http://urn.kb.se/resolve?urn=urn:nbn:se:su:diva-140151
http://nbn-resolving.de/urn:isbn:978-91-7649-740-1
http://nbn-resolving.de/urn:isbn:978-91-7649-741-8

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