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...

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التفاصيل البيبلوغرافية
مؤلف مشترك: International Monetary Fund
التنسيق: دورية
اللغة:English
منشور في: Washington, D.C. : International Monetary Fund, 1988.
سلاسل:IMF Working Papers; Working Paper ; No. 1988/042
الوصول للمادة أونلاين:Full text available on IMF
الوصف
الملخص: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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وصف مادي:1 online resource (26 pages)
التنسيق:Mode of access: Internet
تدمد:1018-5941
وصول:Electronic access restricted to authorized BRAC University faculty, staff and students