INTRODUCING FINANCIAL ASSETS INTO STRUCTURAL MODELS

This paper reviews extensively the literature on asset pricing and builds a structural dynamic general equilibrium model with financial assets. We obtain the policy function of the calibrated model and approximate it up to third order. We derive asset pricing and various premiums conditions up to th...

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Autor principal:	FORNERO,JORGE
Lenguaje:	English
Publicado:	ILADES. Universidad Alberto Hurtado. 2012
Materias:	financial assets DSGE business cycle monetary policy
Acceso en línea:	http://www.scielo.cl/scielo.php?script=sci_arttext&pid=S0718-88702012000200001
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spelling	oai:scielo:S0718-887020120002000012013-07-19INTRODUCING FINANCIAL ASSETS INTO STRUCTURAL MODELSFORNERO,JORGE financial assets DSGE business cycle monetary policy This paper reviews extensively the literature on asset pricing and builds a structural dynamic general equilibrium model with financial assets. We obtain the policy function of the calibrated model and approximate it up to third order. We derive asset pricing and various premiums conditions up to the third order, meaning that returns depend on the first three conditional moments. We obtain a hypothetic yield curve whose curvature increases with the order of the approximation because of the premiums. In addition, impulse response functions of various fundamental shocks illustrate the effect on the level and slope of bond yields with several maturities and on breakeven inflation. Important shocks are technology and inflation target shocks.info:eu-repo/semantics/openAccessILADES. Universidad Alberto Hurtado.Revista de análisis económico v.27 n.2 20122012-10-01text/htmlhttp://www.scielo.cl/scielo.php?script=sci_arttext&pid=S0718-88702012000200001en10.4067/S0718-88702012000200001
institution	Scielo Chile
collection	Scielo Chile
language	English
topic	financial assets DSGE business cycle monetary policy
spellingShingle	financial assets DSGE business cycle monetary policy FORNERO,JORGE INTRODUCING FINANCIAL ASSETS INTO STRUCTURAL MODELS
description	This paper reviews extensively the literature on asset pricing and builds a structural dynamic general equilibrium model with financial assets. We obtain the policy function of the calibrated model and approximate it up to third order. We derive asset pricing and various premiums conditions up to the third order, meaning that returns depend on the first three conditional moments. We obtain a hypothetic yield curve whose curvature increases with the order of the approximation because of the premiums. In addition, impulse response functions of various fundamental shocks illustrate the effect on the level and slope of bond yields with several maturities and on breakeven inflation. Important shocks are technology and inflation target shocks.
author	FORNERO,JORGE
author_facet	FORNERO,JORGE
author_sort	FORNERO,JORGE
title	INTRODUCING FINANCIAL ASSETS INTO STRUCTURAL MODELS
title_short	INTRODUCING FINANCIAL ASSETS INTO STRUCTURAL MODELS
title_full	INTRODUCING FINANCIAL ASSETS INTO STRUCTURAL MODELS
title_fullStr	INTRODUCING FINANCIAL ASSETS INTO STRUCTURAL MODELS
title_full_unstemmed	INTRODUCING FINANCIAL ASSETS INTO STRUCTURAL MODELS
title_sort	introducing financial assets into structural models
publisher	ILADES. Universidad Alberto Hurtado.
publishDate	2012
url	http://www.scielo.cl/scielo.php?script=sci_arttext&pid=S0718-88702012000200001
work_keys_str_mv	AT fornerojorge introducingfinancialassetsintostructuralmodels
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INTRODUCING FINANCIAL ASSETS INTO STRUCTURAL MODELS

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