Essays on the secular stagnation hypothesis and the cross-section of assets returns

• Main Author: Zhang, Xiaoge
• Other Authors: Monteiro, Paulo
• Published: University of York 2017
• Subjects: 330
• Online Access: https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.739915

This thesis studies the relations between growth and cross-sectional assets prices. I develop four discrete-time models in both the exchange and the production economy. Chapter 3 introduces the model with two Lucas trees and studies the interactions between two trees in terms of their price dividend ratios and returns. Chapter 4 explores a production economy with multiple balanced growth paths. The model shows that pessimistic beliefs may trigger persistent slumps, low interest rates and high risk premia. Chapter 5 extends the model used in chapter 4 to the Epstein and Zin framework and calibrates the model to match the historical data moments. Chapter 6 considers a model with two parallel sectors in the production economy and examines the cross-sectional co-movements between growth and asset returns.