Asset Prices and Time-Varying Risk.
Observers have often characterized asset markets as being subject to periods of tranquility and periods of turbulence. Until recently, however, researchers were unable to produce closed-form asset pricing formulas in a model environment of time-varying risk. Some work by Abel provided us with the in...
| Yhteisötekijä: | |
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| Aineistotyyppi: | Aikakauslehti |
| Kieli: | English |
| Julkaistu: |
Washington, D.C. :
International Monetary Fund,
1988.
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| Sarja: | IMF Working Papers; Working Paper ;
No. 1988/042 |
| Linkit: | Full text available on IMF |
| Yhteenveto: | Observers have often characterized asset markets as being subject to periods of tranquility and periods of turbulence. Until recently, however, researchers were unable to produce closed-form asset pricing formulas in a model environment of time-varying risk. Some work by Abel provided us with the insights needed to produce such formulas. This paper gives a exposition of how to develop the formulas in an environment where the formulas may by obtained using a simple extension of standard tools. While the paper is intended mainly as an exposition of new work, it also contains a report on the asset market effect of fiscal reform. It is found that entering a period of weak coordination between government spending and taxing (tax rate) policy is good for stock prices. |
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| Huomautukset: | <strong>Off-Campus Access:</strong> No User ID or Password Required <strong>On-Campus Access:</strong> No User ID or Password Required |
| Ulkoasu: | 1 online resource (26 pages) |
| Aineistotyyppi: | Mode of access: Internet |
| ISSN: | 1018-5941 |
| Pääsy: | Electronic access restricted to authorized BRAC University faculty, staff and students |