Options
Asset Pricing in Macroeconomic Models
ISBN
0-521-82668-3
Type
book section
Date Issued
2003
Author(s)
Editor(s)
Altug, Chadah
Nolan, Charles
Abstract
Analysis of financial prices in macroeconomic models rests on two building blocks: the consumption-based asset pricing model and the structure of payoffs. This chapter studies how different modelling choices affect yield curves (real and nominal), risk premia on equity (levered or not), and options. The emphasis is on surveying existing models and to bring out the basic mechanisms and intuition. All results are based on simple stylized facts and analytical pricing expressions.
Language
English
Keywords
consumption-based asset pricing model
equity premium puzzle
riskfree rate puzzle
Sharpe ratio
cross-sectional variation in returns
HSG Classification
not classified
Refereed
No
Book title
Dynamic macroeconomic analysis : theory and policy in general equilibrium
Publisher
Cambridge University Press
Publisher place
Cambridge
Start page
406
End page
450
Pages
45
Subject(s)
Division(s)
Eprints ID
8734
File(s)