Crash states and the equity premium: solving one puzzle raises another

Article Abstract:

Consideration of a crash state in consumption was proven effective in harmonizing the forecast of the consumption-based capital asset pricing model with the average differences noted in equity and bonds returns. The crash state was also found to be effective in duplicating the average of excess returns on equity. Moreover, a consistency was observed between the condition of agents' intertemporal marginal rate of substitution under a crash state economy and the Hansen and Jagannathan frontier.

Economics, Research and Development in the Social Sciences and Humanities, Research, Economic aspects, Assets (Accounting), Capital assets pricing model, Capital asset pricing model

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Some results for the comparative statics of steady states of higher-order discrete dynamic systems

Article Abstract:

Economic models involving higher-order discrete dynamic systems are explored. Comparative statics analysis results are presented.

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Algorithms for solving dynamic models with occasionally binding constraints

Article Abstract:

Algorithms to approximate the solution to an inequality model are described and compared.

Usage, Algorithms

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